Abstract
In this paper we study one-dimensional BSDE’s whose coefficient $f$ is monotonic in $y$ and non-Lipschitz in $z$. We obtain a general existence result when $f$ has at most quadratic growth in $z$ and $ξ$ is bounded. We study the special case $f(t,y,z)=|z|^p$ where $p∈(1,2]$. Finally, we study the case $f$ has a linear growth in $z$, general growth in $y$ and $ξ$ is not necessarily bounded.
Citation
Philippe Briand. Jean-Pier Relepeltier. Jaime San Martín. "One-dimensional backward stochastic differential equations whose coefficient is monotonic in $y$ and non-Lipschitz in $z$." Bernoulli 13 (1) 80 - 91, February 2007. https://doi.org/10.3150/07-BEJ5004
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